具有随机无穷小参数的Wiener过程的LQG寻的问题

IF 1.1 4区计算机科学 Q4 AUTOMATION & CONTROL SYSTEMS

Archives of Control Sciences Pub Date : 2023-07-20 DOI:10.24425/acs.2019.130198

M. Lefebvre, Abderrazak Moutassim

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引用次数: 2

摘要

研究了在Wiener过程的无穷小参数是随机的情况下，该过程第一次离开区间(a, b)时的最优控制问题。当a =−∞时，通过求解适当的微分方程组得到精确的最优控制，而在双势垒情况下，以多项式形式得到非常精确的近似解。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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The LQG homing problem for a Wiener process with random infinitesimal parameters

The problem of optimally controlling a Wiener process until it leaves an interval (a, b) for the first time is considered in the case when the infinitesimal parameters of the process are random. When a = −∞, the exact optimal control is derived by solving the appropriate system of differential equations, whereas a very precise approximate solution in the form of a polynomial is obtained in the two-barrier case.

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来源期刊

Archives of Control Sciences Mathematics-Modeling and Simulation

CiteScore

2.40

自引率

33.30%

发文量

审稿时长

14 weeks

期刊介绍： Archives of Control Sciences welcomes for consideration papers on topics of significance in broadly understood control science and related areas, including: basic control theory, optimal control, optimization methods, control of complex systems, mathematical modeling of dynamic and control systems, expert and decision support systems and diverse methods of knowledge modelling and representing uncertainty (by stochastic, set-valued, fuzzy or rough set methods, etc.), robotics and flexible manufacturing systems. Related areas that are covered include information technology, parallel and distributed computations, neural networks and mathematical biomedicine, mathematical economics, applied game theory, financial engineering, business informatics and other similar fields.